Valuation of barrier options via a general self-duality
Elisa Alòs, Zhanyu Chen and Thorsten Rheinländer
| Year of publication: |
July 2016
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| Authors: | Alòs, Elisa ; Chen, Zhanyu ; Rheinländer, Thorsten |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 26.2016, 3, p. 492-515
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| Subject: | put-call symmetry | self-duality | barrier options | stochastic volatility models | Malliavin calculus | Optionsgeschäft | Option trading | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12063 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011583542